emwalker
35 posts
msg #138968
- Ignore emwalker
modified |
10/30/2017 10:54:14 AM
Can anyone write a scan for how market club creates buy signals. here is a link i found of someone else who describes how they work, im just not sure of how to write this as a scan. Is it just saying buy signal is a new 3 week high and sell signal is new 3 week low? If so, here is my attempt (dont know how to make it clickable, sorry)
high 1 month high 1 month ago is above high 1 month high 2 months ago
high 1 month high 2 months ago is above high 1 month high 3 months ago
set{buy, count(close is above high 3 week high 1 day ago, 1)}
set{sell, count(close is below low 3 week low 1 day ago, 1)}
add column buy
add column sell
draw buy
draw sell
buy when there is a "1" in the buy column, sell when there is a "1" in the sell column.
http://www.traderslaboratory.com/forums/automated-trading/8779-market-clubs-perfect-r-portfolio.html
"When I examined the entry and exit signals over time I came to the conclusion that the Trade Triangles are nothing more than a classic breakout indicator. That is, they simply take the highest high over the past N days to determine when to go long and then determine the lowest low over the past N days to determine when to close that same long position. More specifically in the case for the Perfect R Portfolio they use a three month channel of price extremes to determine market direction (trend) and use a three week channel to determine entry/exit price levels. Trend trading based upon price channels is well documented and continues to be a valid trading method.
Trend: Three month price extreme.
Signal: Three week price extreme.
The trend component of the system is used to filter out bearish market conditions since the system only goes long. So, during bearish times we are in cash or cash equivalents waiting for a trend change to bullish.
For example, given an ETF we first determine the overall trend. This is done by determining the price extremes based on a monthly chart of the last three bars. Price touching these extreme levels on a daily chart would determine the trend either bullish or bearish.
Once the trend is determined a three bar price extreme based on a weekly chart is used to determine when to exit and when to initiate new trades. When the trend changes from bullish to bearish all trades are closed and we don’t open new long positions until the trend becomes bullish."
thanks!
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